Alternative estimators and unit root tests for seasonal autoregressive processes

DOI10.1016/S0304-4076(03)00206-9zbMath1282.62250OpenAlexW2004634238MaRDI QIDQ2439051

A. M. Robert Taylor, Paulo M. M. Rodrigues

Publication date: 7 March 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00206-9

zbMATH Keywords

seasonal unit root testsOrnstein-Uhlenbeck processesweighted and simple symmetric least squares estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (7)

Efficient tests of the seasonal unit root hypothesis ⋮ ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS ⋮ Using the HEGY Procedure When Not All Roots Are Present ⋮ Seasonal unit root tests and the role of initial conditions ⋮ On the performance of the DHF tests against nonstationary alternatives ⋮ Periodic and seasonal (co-)integration in the state space framework ⋮ The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests

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